Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0058 |
| Annualized Std Dev | 0.1386 |
| Annualized Sharpe (Rf=0%) | -0.0416 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5535.0000 |
| NAs | 1.0000 |
| Minimum | -0.1251 |
| Quartile 1 | -0.0033 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0039 |
| Maximum | 0.0744 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0087 |
| Skewness | -0.8067 |
| Kurtosis | 19.4071 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0065 |
| Gain Deviation | 0.0062 |
| Loss Deviation | 0.0076 |
| Downside Deviation (MAR=210%) | 0.0116 |
| Downside Deviation (Rf=0%) | 0.0065 |
| Downside Deviation (0%) | 0.0065 |
| Maximum Drawdown | 0.5167 |
| Historical VaR (95%) | -0.0121 |
| Historical ES (95%) | -0.0221 |
| Modified VaR (95%) | -0.0128 |
| Modified ES (95%) | -0.0193 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-04-22 | 2008-12-12 | 2012-07-06 | -0.5167 | 3323 | 2426 | 897 |
| 2012-12-04 | 2020-03-23 | NA | -0.3789 | 2088 | 1837 | NA |
| 1999-03-24 | 1999-04-12 | 1999-04-21 | -0.0943 | 19 | 12 | 7 |
| 2012-08-02 | 2012-08-22 | 2012-09-27 | -0.0545 | 40 | 15 | 25 |
| 2012-10-02 | 2012-10-15 | 2012-11-28 | -0.0465 | 39 | 10 | 29 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | 1.3 | -0.9 | 0.5 | 1.4 | 1.5 | -0.5 | -0.5 | -0.5 | 0 | 1.8 | 4.1 |
| 2000 | 0 | -1.2 | 1.8 | 0.6 | 1.8 | 0.6 | 0 | 0.6 | -0.6 | 1.2 | -0.6 | 0.1 | 4.3 |
| 2001 | -0.2 | -0.1 | 0.6 | 0.2 | -0.2 | -0.1 | 1.1 | 0 | 0.1 | 0.2 | 0.2 | 1 | 2.9 |
| 2002 | 0.2 | 0 | 0.6 | 0.6 | 0.2 | 0.4 | 0.6 | -0.1 | 0.1 | 0.4 | 0.2 | 0.8 | 4.1 |
| 2003 | 0.2 | 0.5 | 0.2 | 0.6 | 0.4 | 0.4 | -1.4 | 0 | 0.1 | 0.4 | -0.1 | 0 | 1.3 |
| 2004 | 0 | -0.1 | 0.1 | 0.8 | -0.2 | 0.9 | 0.5 | 0.2 | -0.2 | -0.1 | 0.1 | 0.2 | 2.4 |
| 2005 | -0.1 | -0.1 | 1.5 | 0.3 | 0.6 | 0 | -0.1 | 0.4 | 0.4 | 0.6 | -0.8 | 0.1 | 2.8 |
| 2006 | 0.1 | -0.4 | -0.4 | 0.2 | 0.2 | 0.2 | 0.6 | 0.2 | 0.1 | 0.3 | 0.2 | 1 | 2.1 |
| 2007 | 0 | 0.4 | 0.2 | -0.4 | -0.4 | 0.2 | -0.3 | 1.5 | 0.2 | -0.7 | 0.6 | 0.3 | 1.7 |
| 2008 | -0.4 | -1.8 | 0.5 | 0.3 | -0.4 | 0 | 0 | -0.4 | 3.6 | 0.7 | -0.5 | 1.3 | 2.8 |
| 2009 | -0.2 | 1.1 | 0.2 | 0.3 | -0.1 | 0.4 | 0.4 | 0.4 | 0 | -0.2 | 1 | -0.2 | 3.1 |
| 2010 | 0.1 | 0 | 0.2 | -0.5 | 0.4 | 0.4 | 0 | 0.4 | 0.8 | -1.1 | -1.1 | 1.5 | 1.2 |
| 2011 | 0.3 | 0.1 | 0.3 | 0.2 | 0.4 | 0.7 | 1.5 | 0 | -0.3 | -0.3 | -0.1 | 0.2 | 3.1 |
| 2012 | 0.6 | 0.1 | 0.3 | 0.1 | 0.1 | 0.3 | 0.4 | -0.1 | 0.9 | 0.5 | 0.5 | 0.7 | 4.4 |
| 2013 | -0.1 | -0.4 | 0.4 | 0.7 | -3.2 | 1 | -1.2 | 0.1 | 0 | -1.1 | -0.3 | 0.2 | -3.8 |
| 2014 | 0.6 | 0.2 | -0.4 | 1.4 | -0.4 | 0 | 0.7 | 0.2 | 0.4 | -0.4 | 0.4 | 0.4 | 3 |
| 2015 | 0.9 | 0.4 | 0.1 | -0.4 | 0 | -0.5 | 0.1 | -0.1 | -0.1 | -0.4 | 0.1 | 0.4 | 0.7 |
| 2016 | 0.2 | 0.4 | 0.4 | 0.5 | 1.1 | 0.6 | -0.5 | 0.1 | -0.1 | 0.4 | -0.2 | 1.1 | 4.1 |
| 2017 | -0.1 | -0.3 | 0 | -0.2 | 0.4 | -0.3 | 0.7 | 0 | -1.1 | 0.5 | 0.1 | -0.2 | -0.6 |
| 2018 | 0.2 | -0.2 | 0.2 | 0.1 | -0.1 | 0.7 | -0.5 | 0.1 | -0.1 | 1.4 | -0.1 | -0.3 | 1.4 |
| 2019 | 0.3 | -0.3 | 0 | 0 | 0.2 | 0 | 0.4 | 0.2 | 0.3 | 0.1 | -0.2 | 0.2 | 1.2 |
| 2020 | 0.1 | -0.8 | -2.7 | 0.8 | -0.2 | 0.9 | 0.7 | 0 | 0.5 | -2.6 | -0.2 | 1 | -2.8 |
| 2021 | 0.7 | 0.3 | -0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
